Key Takeaways

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December 20, 2019From the Dec 2019 iShares Thought Leadership Liquidity Special Report

Among the many stress points for institutional investors in recent years, greater portfolio liquidity is near the top of the list. In many cases, pension plans face funding challenges with fewer active participants. The story is essentially same for other institutions, such as insurers, foundations, and endowments – and family offices can be included in the mix, too. Each has ongoing obligations, and when capital calls and asset manager review and rebalancing are taken into consideration, the need for improved liquidity – particularly in a “lower for longer” environment – becomes crystal clear.事实上，Greenwich Associates的2019年研究表明，流动性和风险管理是持续优先事项，优先于75％的首席投资人员。

What might be considered “traditional” ways of meeting liquidity demands, however, are often not sufficient or strategically viable. Adding to cash allocations, for example, can be a drag on overall portfolio performance, increasing tracking error relative to policy benchmark. At the same time, tactical selling of holdings in asset classes with higher trading costs can be expensive, operationally inefficient, disruptive to the underlying managers, or restricted by a lock-up period. Moreover, such an approach may leave investors in the position of being forced sellers – a scenario that doesn’t sit well with any investor.

Magnifying the liquidity challenge, allocations to alternative assets are growing as well. According to a 2018 report by Prequin, an alternative data provider, the alternative investment industry is expected to have $14 trillion in AUM by 2023. But investors’ commitments to alts are not immediately invested, resulting in cash drag from dry powder waiting for capital calls.此外，此类投资通常是没有淘汰的，而他们可能在长期战略上讲，虽然他们可能会造成战略性，但不要做一些有助于帮助更直接的流动性挑战。

然而，投资者的流动资金挑战的解决方案继续发展，由Blackrock的创新队伍大部分发展，并且是本报告的重点。

1现成的流动性解决方案

为了帮助满足这些日益增长的机构流动性需求，Blackrock于2011年创建并推出了其液体政策组合（LPP）战略。LPP策略旨在反映养老金，基础和捐赠的中位数分配。LPP策略包括交易所交易资金的投资组合（ETF），并旨在提供典型的政策基准配置，并提供交易交易的灵活性和流动性。

LPP策略是Blackrock的早期例子，用于使用经济高效的ETF来帮助满足流动性需求的机构投资者的增长趋势亚博赞助欧冠根据2019年Greenwich Associates Research，81％的资产所有者引用流动性作为使用ETF的主要原因，2018年的全面拨款占总资产的25％，从一年前增加了6％。

LPP策略的潜在好处和考虑因素

在的f-the-shelf offering, LPP strategies are designed to address the challenges common to many institutional investors, and to deliver a core set of benefits that are underpinned by the traits of ETFs.¹

对于初学者，LPP策略提供运营效率.ETFs offer intra-day liquidity, with the possibility of T+1 settlement.²此外，使用流动性套筒帮助满足现金需求，可以减少积极管理任务的中断。

他们还提供成本和投资效率.Compared to holding excess cash, LPP strategies can potentially reduce tracking error relative to policy benchmark.

LPP策略使用中位数分配。对于养老金，所以可以提供中位分配数据养老金和投资，而格林威治员工提供基础和捐赠的中位数分配。

In executing LPP strategies, asset-class exposures are mapped to the most relevant indices and assigned to related iShares ETFs. This mapping is complemented by additional mapping of alternative asset classes (private real estate, for example) to their most relevant index counterparts (in the private real estate example, that could be REITs adjusted for leverage). The result is a combination of iShares ETFs.

LPP策略还可以提高与风险和暴露有关的某些考虑因素。LPP策略持有非现金车辆，因此比现金更有挥发性。此外，客户的长期投资政策可能与LPP分配有不同的风险/退货概况。

¹_{能力可能因具体实施和/或投资车辆而异。}

²_{For redemptions, T+1 settlement is conditioned on the ability to short settle ETF trade orders with brokers. If short settlement is not available, settlement will revert to standard T+2 settlement.}

2定制流动性解决方案

没有两个机构具有完全相同的需求，任何一个机构也没有任何机构的挑战。简而言之，改变的事物和投资者想知道他们可以定制符合他们目前的要求的策略，并且他们可以灵活地满足未来的挑战。

在普遍采用ETF之前，通常使用可能对政策基准进行非普通跟踪误差的现金或其他液体资产类构建流动性策略。虽然这种方法可能仍然足够适用于某些投资者，但可能导致相对于基准或政策声明的非预期超重或体重减轻。

为此，BlackRock与寻求更具量身定制的流动性拨款的客户，以反映其全部投资政策，公共或私人方面的分配子组合，或其他投资组合 - 并寻求避免投资战略决定的意外后果。

Precision liquidity management and factors

在伴随其增长和发展的ETF的许多新的和创新利用中越来越精确的流动性管理。由于多种资产类别中越来越大的相当数量和足够的液体ETF，这是可能的。在ETF中的交易可能会减少实施时间和交易成本相对于潜在资产的单独交易。

When a tailored portfolio is under construction, various tradeoffs are considered to help determine an efficient fit for an investor, including active risk to policy benchmark, trading cost, management fees, and liquidity of the ETFs.

Factor-weighted exposures have been increasingly important in numerous customized liquidity solutions. The solutions utilize either the bottom-up or the top-down factor investing approach. Each approach has a distinct effect worth consideration by investors.

为各个因素进行分配通常需要强大的投资信念，因为因素回报本质上是周期性的。在一项研究中，MSCI使用了自下而上的方法来构建来自有利地暴露于价值，大小，质量和动量因子的股票的多因素指数，并将其与单个因子指标相结合的替代自上而下方法。在其对目标因素的暴露程度以及其容量和可投资概况方面进行了比较这两种方法。

MSCI’s analysis, which included hypothetical back-tested performance, showed that both approaches would have demonstrated outperformance versus a market cap-weighted parent index during the study period. In the context of multi-factor index construction, the top-down allocation offered the advantages of simplicity, relatively higher capacity, and lower active risk. However, the exposure to the target factors was muted due to a dilution effect caused in part by offsetting stock weights across the single factor portfolios.

另一方面，使用优化的自下而上的方法没有这种相同的稀释效果。相反，它表现出更高，更持久的整体暴露于目标因素。因此，风险和返回都是根据需要的归因于目标因素。然而，在自下而上的方法中，有效风险的水平可能更高，并且相对容量可能更低。这些方法之间的选择可能取决于大多数机构投资者的特定需求。亚博赞助欧冠

3用于替代品的定制流动性解决方案

As noted in the introduction to this report, institutional investors generally have significant and increasing exposures to alternatives – notably to hedge funds, private equity, private credit, and private real estate. Such allocations have the potential to diversify and enhance portfolio returns, they are often illiquid (not to mention costly).

Alternatives, as such, present investors with a bit of a conundrum. Investors appreciate the potential return premia of “traditional” alts, but acknowledge they can be significantly illiquid at a time when liquidity needs are pressing down on them. It makes sense, then, that there is growing demand among institutional investors for liquid solutions that are designed to mimic the role of standard alternative allocations in their portfolios. That demand is being met.

Liquid alt proxies

Most institutions regularly conduct reviews of their asset managers, and often as a result decide to重新分配各种ALT策略，导致暴露和基准风险中断。正是在这种情况下，ETF的新用途已经出现，即作为短期曝光的液体替代代理，以在替代经理转换期间将现金正常。ETFS类似地用于长期策略，在维护液体曝光的同时，希望减少现金职位的长期策略。

为了创建液体替代代理，Blackrock评估对冲基金，私募股权买断，风险投资和私人房地产的风险和退货档案，并将每个资产类别映射到Ishares ETF的组合，以有效地近似于这些特征。使用方法来调整私有资产类自相关的影响，以更好地估计风险配置文件。

These liquid public proxies can complement the allocations of four private asset classes, allowing institutions to gain flexibility in meeting liquidity needs while helping to mitigate the performance drag that can result from holding excess cash.

为了代理买断私募股权，三管齐下的方法联合学术研究，基于回归的回归和基于持有的收购目标分析。所有三种方法都将价值因素确定为私募股权返回保费的强大（虽然不相同）。买断私募股权不能通过公共市场完全复制，但因素加权战略是市场上限加权战略的有吸引力的替代方案。

代理风险投资，研究显示了回归中的动量因子的存在。As was the case with the value factor in buyouts, this is a public-market anomaly that can be accessed through an MSCI index in seeking to close the venture capital return premium gap.

4Key Takeaways

根据Greenwich Research的数据，75％的CIO考虑了持续的优先事项。
由于资金缺失，持续义务，资本呼叫，资产经理审查和重新平衡，流动性是优先事项。
与此同时，替代投资的分配正在上升 - 但“传统”ALTS不提供流动性。此外，没有立即投入对ALT的承诺，导致从干粉等待资本呼叫的现金拖动
ETFs are widely used by institutional investors, and can play a major and innovative role in answering the liquidity challenge.
基于ETF的解决方案是现成的液体政策投资组合（LPP）策略，通过该策略，投资者可能会潜在达到运营效率，成本效率和投资效率。
定制策略允许使用ETF的精确流动性解决方案。
液体公共代理可以帮助投资者模仿“传统”的替代投资，而是通过使用ETF来实现流动性，易用性和低成本的潜力。

仔细考虑基金的投资目标s, risk factors, and charges and expenses before investing. This and other information can be found in the Funds' prospectuses or, if available, the summary prospectuses which may be obtained by visiting www.iShares.com or www.blackrock.com. Read the prospectus carefully before investing. Investing involves risk, including possible loss of principal.

此材料并非旨在依赖于预测，研究或投资建议，并非推荐，要约或征求购买或销售任何证券或采用任何投资策略。本材料中包含的信息和意见来自于被黑手党被认为是可靠的专有和非专有的源，不一定是全包的，并且不能保证准确性。过去的表现并不能保证将来的结果。没有保证这些观点中的任何一个都会通过。依赖本材料中的信息是读者的唯一自行决定。

There can be no assurance that the investment objectives of any strategy referred to herein will be achieved. An investment in any strategy referred to herein involves a high degree of risk, including the risk that the entire amount invested may be lost. Strategies are not guaranteed by BlackRock or its affiliates.

An investment in ETFs is not equivalent to and involves risks not associated with an investment in cash.

T+1 settlement is conditioned on the ability to short settle ETF trade orders with brokers. If short settlement is not available, settlement will revert to standard T+2 settlement. Two-day financing cost for T+1 settlement would be incurred by the transacting client.

There can be no assurance that an active trading market for shares of an ETF will develop or be maintained. The information provided is not intended to be a complete analysis of every material fact respecting any strategy and has been presented for educational purposes only. Asset allocation models and diversification do not promise any level of performance or guarantee against loss of principal.

ETF的股票以市场价格（非违规）购买和销售，并没有单独兑换LPP战略。

策略可用性可能仅限于某些投资车辆;并非所有投资车辆都可以向所有投资者提供。有关更多信息，请联系您的Blackrock代表。

Ishares资金由Blackrock Investments，LLC（与其附属公司）一起分发，“Blackrock”）。

仅供机构使用 - 不适用于公共发行

ICRMH1219U-1032169

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